Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0300
Annualized Std Dev 0.3242
Annualized Sharpe (Rf=0%) 0.0926

Row

Daily Return Statistics

Close
Observations 3443.0000
NAs 1.0000
Minimum -0.1806
Quartile 1 -0.0065
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0078
Maximum 0.2349
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0004
Stdev 0.0204
Skewness 0.2147
Kurtosis 16.8333

Downside Risk

Close
Semi Deviation 0.0144
Gain Deviation 0.0163
Loss Deviation 0.0167
Downside Deviation (MAR=210%) 0.0185
Downside Deviation (Rf=0%) 0.0143
Downside Deviation (0%) 0.0143
Maximum Drawdown 0.7029
Historical VaR (95%) -0.0265
Historical ES (95%) -0.0495
Modified VaR (95%) -0.0251
Modified ES (95%) -0.0251
From Trough To Depth Length To Trough Recovery
2007-05-31 2009-03-05 2013-04-12 -0.7029 1434 401 1033
2020-02-18 2020-03-23 NA -0.4415 276 25 NA
2016-07-25 2018-02-08 2019-01-31 -0.2186 635 390 245
2013-05-22 2013-12-23 2014-11-03 -0.2176 367 150 217
2015-01-28 2015-09-09 2016-03-17 -0.1491 287 156 131

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA -0.2 1.9 1.7 0 0.4 -4 3.5 -1.4 1.7
2008 3.2 -1.9 3.6 0.8 -0.6 -0.3 0.3 -0.3 -1.3 8.4 -17 5.4 -1.9
2009 -3.4 -0.6 -0.8 -3.2 3.7 1.4 -0.4 -4.7 -4.2 -0.8 1.8 -1.6 -12.5
2010 1.1 0.6 -0.3 -2.6 -2.7 -0.6 0.3 3.3 0.5 0.8 0.5 -0.6 0.2
2011 0.1 -3.2 0.2 -1 -2.8 1.8 -2.3 -1.8 -2.2 -3.5 -1.1 -0.2 -14.9
2012 0.5 0.5 1 0.8 -2.1 2.3 -0.9 0 -0.6 0.8 0 0.8 3.1
2013 0.2 0.4 0.6 -0.7 -1.2 -0.5 -0.8 -0.6 1.7 0 -1 -0.7 -2.7
2014 0.5 0.9 0.5 0.3 0.6 0.5 0 0.5 0.5 1.8 -0.1 -1.5 4.7
2015 -1.7 0.8 -0.4 1.2 1.2 1.7 0.9 -1.8 -0.1 -1.6 1.5 -0.7 0.9
2016 0.5 2.7 -0.1 -1 -0.7 0 0.3 0 -1.2 -2.3 -1.7 1.2 -2.3
2017 -1.3 -0.5 0.3 0.1 0 0.1 -0.8 0.4 0.2 0.4 0.3 0.2 -0.7
2018 -2.6 0.7 0 1.1 0.4 0.1 0.4 0.4 -1.1 0.6 1.3 0.3 1.4
2019 -1.2 -0.4 -0.4 0.1 1.1 -0.3 0.6 0.2 -0.7 -0.5 -0.5 0.9 -1.1
2020 -0.6 -2.8 -7.5 -3.3 2.2 3.6 -0.2 0.3 3.2 0.1 1.1 0.9 -3.5
2021 2.3 0.6 -2.4 NA NA NA NA NA NA NA NA NA 0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-04  48.9 SPY    151.  0.0038  0.00930   0.0491   0.0422    0.153    0.346    0.388 GLD    68.2  0.0104  0.00930
2 2007-05-07  49.1 SPY    151.  0.0002  0.0179    0.0465   0.0421    0.149    0.347    0.403 GLD    68.2  0.0009  0.0173 
3 2007-05-08  49.2 SPY    151. -0.0013  0.014     0.0437   0.0404    0.138    0.337    0.429 GLD    67.9 -0.0054  0.0178 
4 2007-05-09  49.1 SPY    151.  0.0027  0.0108    0.0453   0.041     0.142    0.352    0.438 GLD    67.4 -0.0063  0.0119 
5 2007-05-10  49.4 SPY    150. -0.0105 -0.0051    0.0386   0.0314    0.128    0.360    0.372 GLD    66   -0.0215 -0.0221 
6 2007-05-11  51.2 SPY    151.  0.0086 -0.0004    0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068 -0.0255 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart